June 12, 2019

PerpetualDiscounts now yield 5.61%, equivalent to 7.29% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.49%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now an unbelievable 380bp, a sharp widening from the 365bp reported June 5.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3780 % 1,955.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3780 % 3,588.6
Floater 6.01 % 6.41 % 69,333 13.19 3 0.3780 % 2,068.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0228 % 3,309.9
SplitShare 4.71 % 4.71 % 73,853 4.23 7 -0.0228 % 3,952.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0228 % 3,084.1
Perpetual-Premium 5.62 % -9.83 % 77,071 0.08 7 0.0562 % 2,940.8
Perpetual-Discount 5.51 % 5.61 % 65,975 14.42 26 0.0118 % 3,055.8
FixedReset Disc 5.51 % 5.44 % 171,229 14.70 70 -0.1075 % 2,068.8
Deemed-Retractible 5.32 % 6.08 % 89,135 8.03 27 -0.1558 % 3,050.7
FloatingReset 4.09 % 4.93 % 53,117 2.52 4 0.3455 % 2,338.5
FixedReset Prem 5.13 % 4.02 % 205,363 1.86 16 -0.0195 % 2,569.1
FixedReset Bank Non 1.99 % 4.45 % 160,172 2.54 3 -0.2516 % 2,625.8
FixedReset Ins Non 5.30 % 7.35 % 94,634 8.15 22 -0.1715 % 2,148.0
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 5.38 %
IFC.PR.A FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.98
Bid-YTW : 9.44 %
MFC.PR.F FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.21
Bid-YTW : 9.97 %
PWF.PR.P FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 5.78 %
IFC.PR.F Deemed-Retractible -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 6.04 %
TRP.PR.D FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 16.28
Evaluated at bid price : 16.28
Bid-YTW : 5.95 %
CU.PR.C FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.50 %
BIP.PR.A FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.64 %
BMO.PR.Y FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 5.46 %
MFC.PR.I FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.35
Bid-YTW : 7.43 %
MFC.PR.G FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.83
Bid-YTW : 7.64 %
GWO.PR.S Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 6.08 %
NA.PR.W FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 5.73 %
NA.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 5.62 %
MFC.PR.K FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.73
Bid-YTW : 7.49 %
BAM.PR.Z FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.07 %
EMA.PR.F FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 5.78 %
BAM.PF.J FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 22.61
Evaluated at bid price : 23.40
Bid-YTW : 5.13 %
SLF.PR.J FloatingReset 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.70
Bid-YTW : 10.11 %
BIP.PR.D FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.90 %
GWO.PR.N FixedReset Ins Non 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.82
Bid-YTW : 9.31 %
NA.PR.S FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 5.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.X FixedReset Disc 51,663 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 12.93
Evaluated at bid price : 12.93
Bid-YTW : 6.14 %
BMO.PR.S FixedReset Disc 49,137 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.31 %
GWO.PR.Q Deemed-Retractible 48,050 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.93
Bid-YTW : 6.23 %
TD.PF.L FixedReset Disc 43,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 22.98
Evaluated at bid price : 24.47
Bid-YTW : 4.89 %
TD.PF.K FixedReset Disc 42,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 5.25 %
PWF.PR.R Perpetual-Premium 36,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 24.43
Evaluated at bid price : 24.82
Bid-YTW : 5.60 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 19.70 – 20.60
Spot Rate : 0.9000
Average : 0.6236

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.30 %

BAM.PF.B FixedReset Disc Quote: 17.16 – 17.72
Spot Rate : 0.5600
Average : 0.3733

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 6.19 %

TD.PF.D FixedReset Disc Quote: 19.51 – 19.98
Spot Rate : 0.4700
Average : 0.3196

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 5.38 %

HSE.PR.A FixedReset Disc Quote: 12.10 – 12.50
Spot Rate : 0.4000
Average : 0.2636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 6.31 %

BMO.PR.Y FixedReset Disc Quote: 18.91 – 19.25
Spot Rate : 0.3400
Average : 0.2106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 5.46 %

BIP.PR.E FixedReset Disc Quote: 20.60 – 20.99
Spot Rate : 0.3900
Average : 0.2613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-12
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.09 %

Leave a Reply

You must be logged in to post a comment.